A. Doruk Gunaydin

Sabanci University

Assistant Professor of Finance

School of Management

Orhanli Tuzla

İstanbul, 34956

Turkey

  • Sabanci University

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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24

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Scholarly Papers (12)

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1.

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns

Journal of Financial Economics (JFE), Vol. 135, No. 3, 2020
Number of pages: 85 Posted: 16 Nov 2017 Last Revised: 03 Mar 2020
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 5,065 (2,401)
Citation 13

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left-tail risk, momentum, equity returns, retail investors, costly arbitrage, investor inattention

2.

Predicting Equity Returns in Emerging Markets

Emerging Markets Finance and Trade, Vol. 57, No. 13, 2021
Number of pages: 50 Posted: 04 Aug 2018 Last Revised: 23 Mar 2022
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 544 (72,198)

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tail risk, momentum, anomalies, cross-section of equity returns, emerging markets

3.

Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households

Georgetown McDonough School of Business Research Paper No. 3664501
Number of pages: 69 Posted: 12 Aug 2020 Last Revised: 29 Nov 2021
Turan G. Bali, A. Doruk Gunaydin, Thomas Jansson and Yigitcan Karabulut
Georgetown University - McDonough School of Business, Sabanci University, Sveriges Riksbank - Research Division and Frankfurt School of Finance & Management
Downloads 474 (85,454)
Citation 1

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low risk anomalies, individual investors, idiosyncratic volatility, lottery stocks, skewness preference, optimism, investor attention

4.

Liquidity and Equity Returns in Borsa Istanbul

Applied Economics, Vol. 48, No. 52, 2016
Number of pages: 32 Posted: 14 May 2015 Last Revised: 19 Sep 2016
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 237 (180,374)
Citation 2

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liquidity, emerging markets, equity returns, asset pricing

5.

Global Downside Risk and Equity Returns

Journal of International Money and Finance, Vol. 98, 2019, Georgetown McDonough School of Business Research Paper No. 3422621
Number of pages: 58 Posted: 19 Jul 2019
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 171 (242,288)
Citation 1

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downside risk, tail risk, left-tail momentum, equity returns, international finance

6.

Downside Beta and the Cross-Section of Equity Returns: A Decade Later

Downloads 164 (250,879)
Citation 2

Downside Beta and the Cross-Section of Equity Returns: A Decade Later

European Financial Management, Vol. 26, No. 2, 2020
Number of pages: 37 Posted: 20 Sep 2017 Last Revised: 03 Mar 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 162 (254,036)
Citation 2

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Downside Beta, Downside Risk, Tail Risk, Equity Returns, Asset Pricing

Downside Beta and the Cross Section of Equity Returns: A Decade Later

European Financial Management, Vol. 26, Issue 2, pp. 316-347, 2020
Number of pages: 32 Posted: 19 May 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 2 (913,925)

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asset pricing, downside beta, downside risk, equity returns, tail risk

7.

Mood Seasonality Around The Globe

Number of pages: 41 Posted: 24 Mar 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 114 (331,734)

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equity returns, return seasonality, investor mood, mood beta, market efficiency, anomalies, international finance

8.

Decomposing Value Globally

Applied Economics, Vol. 52, No. 42, 2020
Number of pages: 41 Posted: 26 Jun 2019 Last Revised: 02 Oct 2020
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 114 (331,734)
Citation 1

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value premium, decomposing value, size effect, cross-section of equity returns, international finance

9.

Average Skewness in Global Equity Markets

Number of pages: 48 Posted: 20 Oct 2020 Last Revised: 22 Feb 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 96 (371,902)
Citation 1

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equity returns, average skewness, market skewness, volatility, time-series predictability, international finance

10.

Tax Expense Surprise and Emerging Markets Equity Returns

Borsa Istanbul Review, forthcoming
Number of pages: 47 Posted: 08 Jan 2021 Last Revised: 01 Feb 2022
A. Doruk Gunaydin
Sabanci University
Downloads 19 (709,642)

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tax expense surprise, tax expense momentum, cross-sectional equity returns, emerging markets, international finance

11.

Momentum and Downside Risk in Emerging Markets

The Journal of Portfolio Management, forthcoming
Posted: 02 May 2022
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management

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momentum, downside risk, emerging markets, performance measurement

12.

Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7, https://doi.org/10.3905/jpm.2018.1.080
Posted: 23 Jun 2016 Last Revised: 10 Jul 2019
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (907,349)

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Downside Risk, Downside Beta, Equity Returns, Asset Pricing, International Finance